Hey, I have imaginary friends too! Except mine are from my favorite movies (Tim Burton's Alice in Wonderland, Tim Burton's Willy Wonka, Edward Scissorhands, Sweeney Todd) and video games (American McGee's Alice/Madness Returns) rather than anime. I have had different imaginary friends throughout my entire life (I'm 20).

I was diagnosed with a form of autism and being around other people for longer than like an hour at a time makes me really uncomfortable, so I've found that having imaginary friends satisfies my need for socialization while eliminating the discomfort of having to be around real people.

I highly suggest that you read up on "parasocial relationships". The whole idea behind it is that a lot of people tend to get highly attached to their favorite fictional characters and their minds register them as their "friends". So having imaginary friends is probably a lot more common than people are willing to admit.

In your case, the Hetalia characters would be your imaginary friends, so as long as you know that they're not solid people, you're okay! I watch Hetalia, too, but I'm not at the stage where I pretend I lived with the characters.

However, what you CAN do is find friends who remind you of the characters. This usually results in you finding people who have diverse personalities! In my freshman year of college, I gave it some thought, and I realized that all of my female friends were France, Hungary, S. Italy, N. Italy, Austria, Liechtenstein, and Estonia (I'm the Germany of the group). Now, pretending that the fictional characters live with you can be fun, but I feel that you'll like it more if you found friends who were a lot like those characters; we even refer to each other by our country names (our France is such a pervert, and cannot stand being single for long. She loves being France.).